Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)

Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially time-varying, following a nonlinear restricted ARMA(1,m) process, in order to obtain a very flexible dependence model for applications to multivariate financial return data. We investigate the dependence among the broad stock market indexes from Germany (DAX), France (CAC 40), Britain (FTSE 100), the United States (S&P 500) and Brazil (IBOVESPA) both in a crisis and in a non-crisis period. We find evidence of stronger dependence among the indexes in bear markets. Surprisingly, though, the dynamic D-vine copula indicates the occurrence of a sharp decrease in dependence between the indexes FTSE and CAC in the beginning of 2011, and also between CAC and DAX during mid-2011 and in the beginning of 2008, suggesting the absence of contagion in these cases. We also evaluate the dynamic D-vine copula with respect to Value-at-Risk (VaR) forecasting accuracy in crisis periods. The dynamic D-vine outperforms the static D-vine in terms of predictive accuracy for our real data sets.

Visual range : concepts, instrumental determination, and aviation applications /

Mode of access: Internet.

Condensed-phase optical refrigeration

We review progress on laser cooling of solids. The general process that enables cooling to occur is based on anti-Stokes fluorescence. Candidate materials for laser cooling are discussed, including gases, dyes, crystals, semiconductors, and ionically doped glasses. Cooling processes and necessary conditions for cooling are outlined, and general thermodynamic limitations are discussed. This is followed by a more detailed discussion of one specific material, ytterbium-doped ZBLAN, with consideration given to optimization of the laser cooling process and applications. (C) 2003 Optical Society of America.

Experimental tests of quantum nonlinear dynamics in atom optics

Cold atoms in optical potentials provide an ideal test bed to explore quantum nonlinear dynamics. Atoms are prepared in a magneto-optic trap or as a dilute Bose-Einstein condensate and subjected to a far detuned optical standing wave that is modulated. They exhibit a wide range of dynamics, some of which can be explained by classical theory while other aspects show the underlying quantum nature of the system. The atoms have a mixed phase space containing regions of regular motion which appear as distinct peaks in the atomic momentum distribution embedded in a sea of chaos. The action of the atoms is of the order of Planck's constant, making quantum effects significant. This tutorial presents a detailed description of experiments measuring the evolution of atoms in time-dependent optical potentials. Experimental methods are developed providing means for the observation and selective loading of regions of regular motion. The dependence of the atomic dynamics on the system parameters is explored and distinct changes in the atomic momentum distribution are observed which are explained by the applicable quantum and classical theory. The observation of a bifurcation sequence is reported and explained using classical perturbation theory. Experimental methods for the accurate control of the momentum of an ensemble of atoms are developed. They use phase space resonances and chaotic transients providing novel ensemble atomic beamsplitters. The divergence between quantum and classical nonlinear dynamics is manifest in the experimental observation of dynamical tunnelling. It involves no potential barrier. However a constant of motion other than energy still forbids classically this quantum allowed motion. Atoms coherently tunnel back and forth between their initial state of oscillatory motion and the state 180 out of phase with the initial state.

A PbS quantum-cube: conducting polymer composite for photovoltaic applications

We have developed a new non-polar synthesis for lead sulfide (PbS) quantum-cubes in the conjugated polymer poly-2-methoxy, 5-(2-ethyl-hexyloxy-p-phenylenevinylene) MEH-PPV. The conducting polymer acts to template and control the quantum-cube growth. Transmission electron microscopy of the composites has shown a bimodal distribution of cube sizes between 5 and 15 nm is produced with broad optical absorption from 300 to 650 nm. Photoluminescence suggests electronic coupling between the cubes and the conducting polymer matrix. The synthesis and initial characterization are presented in this paper. (C) 2003 Elsevier B.V. All rights reserved.

Complete modulational-instability gain spectrum of nonlinear quasi-phase-matching gratings

We consider plane waves propagating in quadratic nonlinear slab waveguides with nonlinear quasi-phase-matching gratings. We predict analytically and verify numerically the complete gain spectrum for transverse modulational instability, including hitherto undescribed higher-order gain bands. (C) 2004 Optical Society of America.

Coherent analysis of quantum optical sideband modes

We demonstrate a device that allows for the coherent analysis of a pair of optical frequency sidebands in an arbitrary basis. We show that our device is quantum noise limited, and hence applications for this scheme may be found in discrete and continuous variable optical quantum information experiments. (c) 2005 Optical Society of America.

Complex numbers and symmetries in quantum mechanics, and a nonlinear superposition principle for Wigner functions

Complex numbers appear in the Hilbert space formulation of quantum mechanics, but not in the formulation in phase space. Quantum symmetries are described by complex, unitary or antiunitary operators defining ray representations in Hilbert space, whereas in phase space they are described by real, true representations. Equivalence of the formulations requires that the former representations can be obtained from the latter and vice versa. Examples are given. Equivalence of the two formulations also requires that complex superpositions of state vectors can be described in the phase space formulation, and it is shown that this leads to a nonlinear superposition principle for orthogonal, pure-state Wigner functions. It is concluded that the use of complex numbers in quantum mechanics can be regarded as a computational device to simplify calculations, as in all other applications of mathematics to physical phenomena.

Practical limitations in optical entanglement purification

Entanglement purification protocols play an important role in the distribution of entangled systems, which is necessary for various quantum information processing applications. We consider the effects of photodetector efficiency and bandwidth, channel loss and mode mismatch on the operation of an optical entanglement purification protocol. We derive necessary detector and mode-matching requirements to facilitate practical operation of such a scheme, without having to resort to destructive coincidence-type demonstrations.

Measuring nonlinear functionals of quantum harmonic oscillator states

Using only linear interactions and a local parity measurement we show how entanglement can be detected between two harmonic oscillators. The scheme generalizes to measure both linear and nonlinear functionals of an arbitrary oscillator state. This leads to many applications including purity tests, eigenvalue estimation, entropy, and distance measures-all without the need for nonlinear interactions or complete state reconstruction. Remarkably, experimental realization of the proposed scheme is already within the reach of current technology with linear optics.

Optical force field mapping in microdevices

We present a method for characterizing microscopic optical force fields. Two dimensional vector force maps are generated by measuring the optical force applied to a probe particle for a grid of particle positions. The method is used to map Out the force field created by the beam from a lensed fiber inside a liquid filled microdevice. We find transverse gradient forces and axial scattering forces on the order of 2 pN per 10 mW laser power which are constant over a considerable axial range (> 35 mu m). These findings suggest Future useful applications of lensed fibers for particle guiding/sorting. The propulsion of a small particle at a constant velocity of 200 mu m s(-1) is shown.

Use of optical density as a measure of Claviceps africana conidial suspension concentration

Sorghum ergot, caused by Claviceps africana, has remained a major disease problem in Australia since it was first recorded in 1996, and is the focus of a range of biological and integrated management research. Artificial inoculation using conidial suspensions is an important tool in this research. Ergot infection is greatly influenced by environmental factors, so it is important to reduce controllable sources of variation such as inoculum concentration. The use of optical density was tested as a method of quantifying conidial suspensions of C. africana, as an alternative to haemocytometer counts. This method was found to be accurate and time efficient, with possible applications in other disease systems.

Tracking the states of a nonlinear system in the weight-space of a feed-forward neural network

Nonlinear, non-stationary signals are commonly found in a variety of disciplines such as biology, medicine, geology and financial modeling. The complexity (e.g. nonlinearity and non-stationarity) of such signals and their low signal to noise ratios often make it a challenging task to use them in critical applications. In this paper we propose a new neural network based technique to address those problems. We show that a feed forward, multi-layered neural network can conveniently capture the states of a nonlinear system in its connection weight-space, after a process of supervised training. The performance of the proposed method is investigated via computer simulations.

Fundamentals of optical detection of small particles

This paper reviews a number of used and/or proposed ideas for optical detection of small particles including single molecules. Different techniques (direct absorption and scattering, interferometry, use of sub Poissonian statistics, cavity enhancement, and thermal lens detection) are compared in terms of signal-to-noise ratio. It is shown that scattering (resonance and non resonance) fundamentally remains the method of choice for most applications.

Nanotrapping and the thermodynamics of optical tweezers

Particles that can be trapped in optical tweezers range from tens of microns down to tens of nanometres in size. Interestingly, this size range includes large macromolecules. We show experimentally, in agreement with theoretical expectations, that optical tweezers can be used to manipulate single molecules of polyethylene oxide suspended in water. The trapped molecules accumulate without aggregating, so this provides optical control of the concentration of macromolecules in solution. Apart from possible applications such as the micromanipulation of nanoparticles, nanoassembly, microchemistry, and the study of biological macromolecules, our results also provide insight into the thermodynamics of optical tweezers.